A stochastic gradient algorithm learns log-optimal threshold-type strategies for online portfolio optimization across varied price dynamics.
Asymptotic optimality and asymptotic equipartition properties of log-optimum investment.The Annals of Probability, 16(2):876–898
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Learning Threshold-Type Investment Strategies with Stochastic Gradient Method
A stochastic gradient algorithm learns log-optimal threshold-type strategies for online portfolio optimization across varied price dynamics.